If I use the Upload File Field can I  save the file to our SQL and is there a possibility to retrieve the image files in the lookup rules. All we want is to quickly preview the image that was uploaded previously in LF forms therefore the user can have an initial preview of the attached image. 

Forms itself will save the attached files for file upload field into the Forms database, but the lookup rules in forms doesn't support retrieve the file data for the data is stored as binary type. You can use JavaScript to download the uploaded files and display, following is the sample:

$(document).ready(function() {
  var imgsrc= $(this).find("a").attr('href');
  function checkDOMChange()
  {
    var aid = '';
    $.each($('.files input'), function(i,e){
      if($(e).val() != ''){
        aid = $(e).val();
        return false;
      }
    });
    
    if(aid != ''){ 	
      var uqid = $('[name=uqid]').val();
          $('<tr><td colspan="6"><img width="300px" src="http://formsserver/Forms/handlers/downloadattachment.ashx?req=DownLoad&aid=' +aid +'&authkey=' + uqid + '"></td></tr>').insertAfter($('#cf-formtitle'));
    }
    else
    	setTimeout( checkDOMChange, 100 );
  }
  checkDOMChange();
});